Inside Our Program

Program Events

Events

• Apr

  16

  Does Overnight News Explain Overnight Returns?

  Department of Industrial Engineering and Management Sciences (IEMS)

  11:00 AM Krebs Classroom, North Campus Parking Garage/Academic Building

  EVENT DETAILS

  Abstract: Over the past 30 years, nearly all the gains in the U.S. stock market have been earned overnight, while average intraday returns have been negative or flat. We find that a large part of this effect can be explained by differences between intraday and overnight news and the response to news. Our analysis uses a collection of over a million news articles. We use supervised topic analysis technique that selects news topics based on their ability to explain contemporaneous market returns. We find that differences in the mix of news topics and differences in the responses to news topics both contribute to the difference in intraday and overnight returns. In out-of-sample tests, our approach forecasts which stocks will do particularly well overnight and particularly poorly intraday. We contrast the effect of news with other mechanisms proposed in the literature to explain overnight returns. This is joint work with Kriste Krstovski, Paul Laliberte, and Harry Mamaysky.

  Bio: Paul Glasserman is the Jack R. Anderson Professor Business at Columbia Business School, and he is chair of the Financial and Business Analytics center in Columbia University's Data Science Institute. His research interests lie at the intersection of data science and quantitative finance; recent projects include work on properties of implied volatility, stress testing, systemic risk, swing pricing, and applications of natural language processing in finance. Paul received the 2006 Lanchester Prize for his book, Monte Carlo Methods in Financial Engineering, and he is also a past recipient of Risk magazine's Quant of the Year Award (2007) and the IAQF Financial Engineer of the Year Award (2020).

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  TIME Tuesday, April 16, 2024 at 11:00 AM - 12:00 PM

  LOCATION Krebs Classroom, North Campus Parking Garage/Academic Building    map it

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  CONTACT Kendall Minta    kendall.minta@gmail.com EMAIL

  CALENDAR Department of Industrial Engineering and Management Sciences (IEMS)

• Aug

  14

  Undergraduate Quantum Summer School

  McCormick School of Engineering and Applied Science

  All Day Ford Motor Company Engineering Design Center

  EVENT DETAILSmore info

  Innovation in Quantum Pedagogy, Application, and its Relation to Culture (IQ-PARC), funded by the Department of Defense — National Defense Education Program, is extending an invitation to underrepresented students nationwide (including military-connected students) to participate in a summer school focused on quantum technologies, to be held at Northwestern University. Join us for presentations by faculty and industry partners introducing quantum technologies, cutting-edge research areas, and related job opportunities particularly in the areas of national security.

  This effort aims to foster an inclusive environment that encourages participation from all corners of the academic community. Successful applicants will receive up to $1,000 USD to cover travel and lodging expenses in Evanston, IL.

  Priority application deadline: May 15, 2024.

  Decisions will be sent by June 15, 2024.

  Register Now

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  TIME Wednesday, August 14, 2024

  LOCATION Ford Motor Company Engineering Design Center    map it

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  CONTACT Dongyang Li    lidongyang@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science

• Aug

  15

  Undergraduate Quantum Summer School

  McCormick School of Engineering and Applied Science

  All Day Ford Motor Company Engineering Design Center

  EVENT DETAILSmore info

  Innovation in Quantum Pedagogy, Application, and its Relation to Culture (IQ-PARC), funded by the Department of Defense — National Defense Education Program, is extending an invitation to underrepresented students nationwide (including military-connected students) to participate in a summer school focused on quantum technologies, to be held at Northwestern University. Join us for presentations by faculty and industry partners introducing quantum technologies, cutting-edge research areas, and related job opportunities particularly in the areas of national security.

  This effort aims to foster an inclusive environment that encourages participation from all corners of the academic community. Successful applicants will receive up to $1,000 USD to cover travel and lodging expenses in Evanston, IL.

  Priority application deadline: May 15, 2024.

  Decisions will be sent by June 15, 2024.

  Register Now

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  TIME Thursday, August 15, 2024

  LOCATION Ford Motor Company Engineering Design Center    map it

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  CONTACT Dongyang Li    lidongyang@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science

• Sep

  24

  Fall 2024 Classes Begin (No Northwestern Monday in Fall)

  University Academic Calendar

  All Day

  EVENT DETAILS

  Fall 2024 Classes Begin (No Northwestern Monday in Fall)

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  TIME Tuesday, September 24, 2024

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  CONTACT Office of the Registrar    nu-registrar@northwestern.edu EMAIL

  CALENDAR University Academic Calendar

• Sep

  30

  Last day to add a class or change a section for Fall (Last day for tuition adjustment related to enrollment changes (to or from full-time). No reductions are made to bills for dropped or swapped classes after this date)

  University Academic Calendar

  All Day

  EVENT DETAILS

  Last day to add a class or change a section for Fall (Last day for tuition adjustment related to enrollment changes (to or from full-time). No reductions are made to bills for dropped or swapped classes after this date)

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  TIME Monday, September 30, 2024

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  CONTACT Office of the Registrar    nu-registrar@northwestern.edu EMAIL

  CALENDAR University Academic Calendar

• Dec

  7

  Fall classes end

  University Academic Calendar

  All Day

  EVENT DETAILS

  Fall classes end

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  TIME Saturday, December 7, 2024

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  CONTACT Office of the Registrar    nu-registrar@northwestern.edu EMAIL

  CALENDAR University Academic Calendar